Chaumont, Sébastien; Imkeller, Peter; Müller, Matthias; … - In: Vierteljahrshefte zur Wirtschaftsforschung 74 (2005) 2, pp. 175-195
Short term climate events such as the sea surface temperature anomaly known as El Niño are financial risk sources … leading to incomplete markets. To make such risk tradable, we use a market model in which a climate index provides an extra … investment option. Given one possible market price of risk each agent can maximize the exponential utility from three sources of …